Dynamic Spatial Autoregressive Models with Time-varying Spatial Weighting Matrices
Anna Gloria Billé () and
Leopoldo Catania ()
Additional contact information
Leopoldo Catania: Aarhus University, Department of Economics and Business Economics and CREATES, Denmark
No BEMPS55, BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen
We propose a new spatio-temporal model with time-varying spatial weighting matrices. We allow for a general parameterization of the spatial matrix, such as: (i) a function of the inverse distances among pairs of units to the power of an unknown time-varying distance decay parameter, and (ii) a negative exponential function of the time-varying parameter as in (i). The filtering procedure of the time-varying parameters is performed using the information in the score of the conditional distribution of the observables. An extensive Monte Carlo simulation study to investigate the finite sample properties of the ML estimator is reported. We analyze the association between eight European countries' perceived risk, suggesting that the economically strong countries have their perceived risk increased due to their spatial connection with the economically weaker countries, and we investigates the evolution of the spatial connection between the house prices in different areas of the UK, identifying periods when the usually adopted sparse weighting matrix is not sufficient to describe the underlying spatial process.
Keywords: Dynamic spatial autoregressive models; Time-varying weighting matrices; Distance decay functions (search for similar items in EconPapers)
JEL-codes: C33 C55 C58 C61 (search for similar items in EconPapers)
Pages: [45 pages]
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-geo, nep-ore and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bzn:wpaper:bemps55
Access Statistics for this paper
More papers in BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen Contact information at EDIRC.
Bibliographic data for series maintained by F. Marta L. Di Lascio () and Alessandro Fedele ().